Interface DlmParamMeta

Describes the layout of the params vector passed to DlmLossFn.

params = [s?, w₀, …, w_{m-1}, φ₁, …, φ_p] (natural scale)

Observation std s is present only when nObs === 1 (absent when obsStdFixed is set).
Process std devs wᵢ (nProcess elements).
AR coefficients φⱼ (nAr elements, 0 when fitAr is off).

interface DlmParamMeta {
    nAr: number;
    nObs: number;
    nProcess: number;
}

Properties

nAr: number

Number of AR coefficients (0 unless fitAr: true).

nObs: number

1 if observation std (s) is estimated, 0 if fixed.

nProcess: number

Number of process std dev parameters (= state dimension m).